An improved selection test between autoregressive and moving average disturbances in regression models

DOI10.1515/JTSE-2014-0036zbMATH Open1499.62227OpenAlexW2330380694MaRDI QIDQ1695671FDOQ1695671

Authors: Pierre Nguimkeu 

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2014-0036

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• scientific article; zbMATH DE number 815752

zbMATH Keywords

\(p\)-valueautoregressive errorslikelihood analysismoving average errors

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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• Modified signed log likelihood ratio
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
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• Testing for autoregressive against moving average errors in the linear regression model
• Testing AR(1) against MA(1) disturbances in an error component model
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• Title not available (Why is that?)

Cited In (3)

• A new test for fourth-order autoregressive disturbances
• Title not available (Why is that?)
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model

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